Expected earnings growth and portfolio performance

Review of Quantitative Finance and Accounting

Volumn 26, Issue 4, 2006, Pages 431-437

  Best, Ronald W ^a   Hodges, Charles W ^a   Yoder, James A ^a  

^a UNIVERSITY OF WEST GEORGIA   (United States)

Author keywords

Earnings growth; Stochastic dominance; Value stocks

Indexed keywords

EID: 33646003884     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-006-7440-4     Document Type: Article

References (20)

1. Barber BM, Lyon J (1997) Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms. Journal of Finance 52:875-883
2. Banz R (1981) The relationship between return and market value of common stocks. Journal of Financial Economics 6:3-18
3. Basu S (1983) The relationship between earnings yield, market value, and return for nyse common stocks: Further evidence. Journal of Financial Economics 12:129-156
4. Chan LKC, Hamao Y, Lakonishok J (1991) Fundamentals and stock returns in Japan. Journal of Finance 46:1739-1764
5. Davis JL (1994) The cross-section of realized stock returns: The Pre-COMPUSTAT evidence. Journal of Finance 49:1579-1593
6. Falk H, Levy H (1989) Market reaction to quarterly earnings' announcements: A stochastic dominance based test of market efficiency. Management Science 35:425-446
7. Fama EF, French KR (1992) The cross-section of expected stock returns. Journal of Finance 47:427-465
8. Fama EF, French KR (1996) Multifactor explanations of asset pricing anomalies. Journal of Finance 51:55-84
9. Fong W, Wong W, Lean H (2005) International momentum strategies: A stochastic dominance approach. Journal of Financial Markets 8:89-109
10. Jaffe J, Keim D, Westerfield R (1989) Earnings yields, market values, and stock returns. Journal of Finance, 44:135-148
11. Kahneman D, Tversky A (1982) Intuitive prediction: Biases and corrective procedures. In D. Kahneman, P. Slovic, and A. Tversky, (eds) Judgement under uncertainty: Heuristics and biases (Cambridge, England, Cambridge University Press)
12. Keim D (1985) Dividend yields and stock returns: Implications of abnormal January returns. Journal of Financial Economics 14:473-489
13. La Porta R (1996) Expectations and the cross-section of stock returns. Journal of Finance 51:1715-1742
14. Lakonishok J, Shleifer A, Vishny R (1994) Contrarian investment, extrapolation, and risk. Journal of Finance 49:1541-1578
15. Levy H (1992) Stochastic dominance and expected utility: Survey and analysis. Management Science 38:555-593
16. Levy H, Lerman Z (1985) Testing P/E ratios filters with stochastic dominance. Journal of Portfolio Management 2:31-40
17. Levy H, Sarnat M (1984) Portfolio and investment selection: Theory and practice (Englewood Cliffs, NJ: Prentice Hall International)
18. Liao TL, Chou P (1995) Testing PSR filters with the stochastic dominance approach. Journal of Portfolio Management 21:85-91
19. Rosenberg B, Reid K, Lanstein R (1985) Persuasive evidence of market inefficiency. Journal of Portfolio Management 11:9-17
20. Seyun, HN (1993) Can omitted risk factors explain the january effect? A stochastic dominance approach. Journal of Financial and Quantitative Analysis 28:195-212